Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0056
Annualized Std Dev 0.1086
Annualized Sharpe (Rf=0%) 0.0514

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0714
Quartile 1 -0.0030
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0032
Maximum 0.0877
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0068
Skewness -0.0141
Kurtosis 17.9562

Downside Risk

Close
Semi Deviation 0.0049
Gain Deviation 0.0050
Loss Deviation 0.0055
Downside Deviation (MAR=210%) 0.0105
Downside Deviation (Rf=0%) 0.0049
Downside Deviation (0%) 0.0049
Maximum Drawdown 0.2476
Historical VaR (95%) -0.0095
Historical ES (95%) -0.0161
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0088
From Trough To Depth Length To Trough Recovery
2006-12-04 2008-12-12 2012-07-10 -0.2476 1410 511 899
2020-02-26 2020-03-23 2020-11-27 -0.2325 193 19 174
1999-02-09 2000-01-14 2005-09-06 -0.2201 1654 237 1417
2012-07-25 2013-12-12 2016-06-13 -0.1834 977 349 628
2016-07-08 2018-10-15 2020-01-29 -0.1602 896 573 323

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.6 -0.6 0.6 0 -0.7 0.7 0 -0.7 -0.7 0 0 -2.1
2000 0.8 0 0.7 0 0.8 -0.7 0 0 -0.7 1.5 1.5 0 3.8
2001 1.3 0 0.4 0.3 0.1 -0.1 -0.4 -0.5 0.2 0.2 -0.2 0.5 1.9
2002 0.1 -0.3 0.4 0.5 -0.5 -0.2 -0.1 0 0.2 -0.8 0.6 0.9 0.8
2003 0.5 -0.2 -0.4 0.4 0.2 1.1 0.4 0.2 0.3 0 -0.5 0.4 2.5
2004 0.1 0.5 0.3 0.3 0.3 1 0.6 0.1 -0.1 -0.3 0.8 0.8 4.5
2005 0 0.1 0.3 0.5 0.5 -0.3 0 0.1 1.6 -0.1 0.5 0.2 3.5
2006 -0.3 0 0.1 0.9 0.5 0.6 0.6 0.5 0.3 0.2 0.8 0.3 4.7
2007 -0.2 0.4 -0.2 0.6 0.2 0.9 0.5 0.3 -0.2 0.2 0.2 0.8 3.6
2008 0.5 -0.7 0.5 0.6 -0.5 -0.6 -0.4 -0.5 -1.3 0.2 0.4 0.8 -1
2009 1.6 0.8 0.4 0.9 -0.4 0.4 -0.2 0.6 -0.6 0.6 0.1 0.1 4.4
2010 0.1 1.1 0.3 0.8 -0.1 0.1 0.6 -0.1 -0.1 0.3 -0.6 0.9 3.4
2011 0.2 0.1 0.1 0.3 0.8 0.3 0.2 0.1 0.1 -0.1 -0.1 0.1 2.2
2012 -0.1 -0.5 0.1 0.1 -0.1 0.3 0.3 0.2 0.4 0.4 0.3 0.5 1.9
2013 -0.1 -0.2 -0.2 0.5 -0.4 1.4 -0.9 0.1 0.2 0.4 0 0.3 1.1
2014 0.2 -0.1 -0.1 0.5 0.1 -0.4 0 0.1 0.3 0.1 0.1 0.5 1.4
2015 0.6 0.3 0.5 -0.3 0.2 -0.1 0.5 -0.1 0 0.5 0 -0.5 1.6
2016 -0.1 -0.1 -0.4 0.6 0.5 -0.1 0.3 0.6 -0.1 0.4 -0.8 -0.6 0.1
2017 0.2 -0.4 0.7 0.1 0.1 0.4 0.1 -0.9 0.2 0.4 0.1 -0.3 0.8
2018 0.1 0.1 0.1 0.2 0.2 0 0.1 -0.2 -0.2 0.2 0.3 0.1 1.1
2019 -0.4 -0.3 -0.6 -0.3 -0.1 -0.1 -0.3 -0.5 -0.2 0.2 -0.3 1 -1.8
2020 0 -2.9 -2.7 -0.1 1.1 0.7 0.2 0.1 0.1 0.2 0.4 0.6 -2.3
2021 0.6 0.5 0.1 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.75 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.75 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.81 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.75 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.81 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.81 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart